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abstract:
Balanced Milstein methods (BMM) have been proposed for solving numerically stochastic ordinary differential equations with large noise coefficients. In this talk we discuss consistency, bistability and convergence of the BMM. The main ingredient of the analysis is a stochastic version of Spijker's norm. We show that the order of consistency for the BMM in this norm is one, and we prove bistability which leads to two-sided estimates of the strong error of convergence. |
